Search found 28 matches

by jankiraly
Mon Sep 05, 2011 11:01 pm
Forum: Testing and Simulation
Topic: CTA performance data
Replies: 28
Views: 12111

Hello stopsareforwimps, I think I have found a photograph. Is it right? http://tinyurl.com/3dexs2n
by jankiraly
Mon May 23, 2011 4:42 pm
Forum: Testing and Simulation
Topic: tracking intraday sequences (time stamps) on daily bars
Replies: 14
Views: 5438

If the ONLY information you have is the daily Open, High, Low, Close then the Shortest Path Heuristic is one of your (very few) options: Choose the piecewise linear price trajectory of shortest total length. You can work out the arithmetic yourself; there are only two cases to consider. The conclusi...
by jankiraly
Mon Mar 31, 2008 5:58 am
Forum: Testing and Simulation
Topic: Rounds Turns Per Million -- How Low Can You Go?
Replies: 8
Views: 4206

You could put high-leverage and low-leverage trading plans on an equal footing by calculating (RTPM / Margin_to_Equity_Ratio) since the ME Ratio is usually published in professional manager's track records. A word of caution, very low RTPM means your stops are very wide. This means your DollarRisk p...
by jankiraly
Sun Apr 15, 2007 4:10 pm
Forum: Testing and Simulation
Topic: Log normal returns of financial instruments and lack of...
Replies: 2
Views: 2430

Try to avoid the mental constraint of only thinking about one system trading one stock. Real hedge funds / CTAs / professional traders have multiple systems trading large portfolios of stocks (or futures, or forex pairs, or options, or ...), all at once. These traders have many simultaneous position...
by jankiraly
Mon Apr 09, 2007 4:42 pm
Forum: Futures Markets
Topic: coffee
Replies: 11
Views: 8035

Commodity Research Bureau 05 April issue: May 2007 Coffee ("KCK7") now 48% Sell, was 88% Sell last week.
by jankiraly
Sat Apr 07, 2007 12:33 pm
Forum: Futures Markets
Topic: coffee
Replies: 11
Views: 8035

March 30 issue of CRB PriceCharts shows them short coffee on all three timeframes. ("KCK7" is May 2007 Coffee)
by jankiraly
Thu Apr 05, 2007 6:58 pm
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30196

A whole bunch of systems all signalled to go long Mexican Peso this week. And I did.
by jankiraly
Wed Nov 15, 2006 2:24 pm
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 30554

Re: Dynamic Portfolio Selelction

... approach could swap out existing positions for the tighter (better) positions. ... actively managing existing open positions by changing them on the fly. Leapfrog, that idea is presented in Mike Covel's Turtle course, what he calls Switches. However I don't think Dean is doing Switches in the t...
by jankiraly
Thu Oct 05, 2006 10:15 am
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30196

One must be careful to distinguish between "number of active positions today" versus "number of instruments in the portfolio". They are not always the same. That was a thought provoking plot, thank you! I would say the green system is very different than the blue system; if I wanted to put together...
by jankiraly
Tue Sep 12, 2006 7:06 pm
Forum: Data Providers and other non testing software
Topic: Data Manager Software?
Replies: 4
Views: 4899

Way back in the misty past, when the preferred TA software vendor was Omega Research and their preferred data vendor was Dial/Data (get it? You tell your modem to Dial in order to download price Data), I wrote a rollover package. For some stupid reason I've still got it on my disk, with source code ...
by jankiraly
Thu May 11, 2006 9:59 am
Forum: Trend Indicators and Signals
Topic: people on this forum were rude and are fake traders
Replies: 34
Views: 29710

| CrAcKhOuR | wrote: No I provided a simple method of trading as
there is not many references to charts on the forum

The reason is found at the top right of your screen. I have trimmed
it to show the most relevant portion, in the image which follows.
by jankiraly
Mon Apr 17, 2006 2:12 pm
Forum: Money Management
Topic: A method to monitor and adjust system's risk?
Replies: 5
Views: 5962

Trading Recipes lets you do this with one statement. Supposing you want to reduce each position by 10% if the total risk across all positions ever becomes more than 30%, you would add this line to your system: IF (TOTALRISK > 0.30) THEN MULTIPLIER = 0.90 I'm sure it's equally simple to do in other s...
by jankiraly
Fri May 06, 2005 9:05 am
Forum: Testing and Simulation
Topic: the relationship between slippage and volume & volatilit
Replies: 2
Views: 2271

Would you please tell us your experience in actual trading, yoyo? How long have you been trading, how many trades have you made, and what sorts of slippage have you seen personally?
by jankiraly
Sun Feb 06, 2005 10:51 am
Forum: Money Management
Topic: plz help me with my math: probability of N losses in a row
Replies: 3
Views: 4184

Another example is here on this website

viewtopic.php?t=1081
by jankiraly
Fri Feb 04, 2005 8:33 am
Forum: Money Management
Topic: plz help me with my math: probability of N losses in a row
Replies: 3
Views: 4184

Our old reliable friend the Omega List contains an interesting answer that comes in the form of a table and a formula. It's 2 years old, but I don't think the mathematics of probability has changed very much since then.

http://www.purebytes.com/archives/omega ... 04142.html
by jankiraly
Tue Dec 28, 2004 5:53 pm
Forum: Testing and Simulation
Topic: Console.Writeline("How Do YOU Simulate?:Part II");
Replies: 8
Views: 4808

It's PERL without the "a". Check www.perl.org for more info.
by jankiraly
Mon Nov 29, 2004 8:52 am
Forum: Stocks
Topic: stock historical database
Replies: 3
Views: 5678

I think you have identified a market opportunity. You could start a business named "Stock Quotes The Right Way" that sells data meeting your requirements. You know from your own research that there are no competitors whatsoever, and you also know there are loads of customers (people just like yourse...
by jankiraly
Wed Nov 10, 2004 8:24 pm
Forum: Testing and Simulation
Topic: How to pick the most suitable values among three parameters?
Replies: 4
Views: 4545

Several people expressed very strong beliefs in the previous thread ( http://www.tradingblox.com/forum/viewtopic.php?t=1699&postdays=0&postorder=asc&start=0 ) and I expect they will soon run this testing data through their Optimal selector algorithms. TC, ksberg, Asterix, shakyamuni, TK, sluggo, c.f...
by jankiraly
Tue Sep 28, 2004 12:37 pm
Forum: Data Providers and other non testing software
Topic: John Hill and backadjusting
Replies: 7
Views: 5738

Maybe you are not aware that John Hill has discarded Excalibur and now uses Tradestation. He even writes books about how to use Tradestation: http://www.amazon.com/exec/obidos/tg/detail/-/0471215694?tag=tradingblox-20 I happen to own a copy of the Excalibur software (Hill used to sell it). Written i...
by jankiraly
Tue Sep 28, 2004 12:28 pm
Forum: Money Management
Topic: Position Sizing in Options
Replies: 19
Views: 15120

I had avoided options because I'm a mechanical systems trader and I found it difficult-to-impossible to obtain and organize options pricing historical data for backtesting. Then a friend made a remark that I consider brilliant: Maybe you can't backtest options systems but you can backtest managers w...